Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rafiq, Shuddhasattwa & Bloch, Harry, 2016. "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models," Resources Policy, Elsevier, vol. 50(C), pages 34-48.
- Walid Bahloul & Rangan Gupta, 2017. "The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures," Working Papers 201715, University of Pretoria, Department of Economics.
More about this item
KeywordsOil prices; commodity prices; stability; causality; linear; time-varying;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
- F2 - International Economics - - International Factor Movements and International Business
- G00 - Financial Economics - - General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2014-12-29 (Agricultural Economics)
- NEP-ALL-2014-12-29 (All new papers)
- NEP-ENE-2014-12-29 (Energy Economics)
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